First off, if you like your new job, ask your new employer what you can do with their equipment. You won't get Admin from me either- that's policy. But if a user (you) asks me for software for playing movies, eBooks, other multimedia bullshit, and is willing to work with me and the policies he/she has to operate under, and understands there are policies *I* have to operate under, I'll do what I can to accommodate your needs. You catch more flies with honey, as the saying goes. All you gotta do is just ask and not assume that IT are all BOFHs.
If you don't like your new job, want to play "wannabe" guru, then go ahead an screw with the laptop, and your paycheck. I'll make sure that when I find things you've fricked with, that you go on the A-list for audit scans. A for Accelerated. I'll also make sure your laptop is fully compliant with policies, and take the extra precautions you mentioned re: locking down settings. And it will all be documented. I'm not being an a-hole, but if you don't give a shirt about company policies and want to 'take matters in your own hands', then I don't trust you, and will do what I have to do to ensure my job isn't compromised by your crazy-train inept attitude.